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A Note on Seasonal Unit Root Tests |
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| Authors: | Darné Olivier Diebolt Claude |
| Affiliation: | (1) Faculté des Sciences Economiques, LAMETA/CNRS, Université Montpellier I, Espace Richter, Avenue de la Mer, B.P. 9606, 34054 Mont-pellier Cedex 1, France |
| Abstract: | The seasonal unit root tests make it possible to determine the nature of the deterministic and stochastic seasonal fluctuations. In Section 2, we define the main seasonal time series models and the seasonal integration notion. Section 3 describes the HEGY test procedure. |
| Keywords: | deterministic and stochastic fluctuations seasonality seasonal unit root tests time series models |
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